PDEs in Finance

I'm explaining the linkages between PDEs, conditional expectations and valuation

[zaphbeeblebrox]

Hate to be pedantic, but lots of mistakes here. PDEs have nothing to do with stochasticity a priori. It turns out that when a stochastic process is sufficiently nice, i.e. is a Markov process, you can write down a PDE involving the infinitesimal generator of the process. Then certain conditional expectations satisfy this PDE. Roughly speaking, the average dynamics of the process can be described by the PDE.

General PDE theory is about deterministic processes.

[richardm]

sde or spde is stochastic, pde are deterministic like heat, p is partial

[LeilaRmaths]

That was great! Thank you so much and hope you keep present your teaching :)

[miguelturpo]

Can you share your presentation? I would appreciate it.